IBKR Options History — September 2007 In September 2007, IBKR traded between $6.34 and $6.94. ATM implied volatility averaged 34.7%. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 8.1% (HV 20d: 26.6%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.43.
Notable Days 2007-09-19 : Highest Volume — 8,736 contracts2007-09-26 : Largest IV spike — 48.0% change2007-09-19 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $6.65 $6.34 $6.94 $6.75 $6.57 Max Pain $6.25 $6.25 $6.25 $6.25 $6.25 ATM IV 34.7% 23.5% 39.9% 36.6% 32.6% Expected Move 10.1% 6.7% 11.4% 10.5% 9.4% HV 20d 26.6% 21.7% 31.1% 30.8% 22.7% HV 60d 38.3% 37.9% 38.6% 38.6% 38.6% Term Structure 1.1% -8.8% 13.6% 0.9% -8.8% VWIV 35.0% 27.6% 43.5% 36.6% 27.6% Skew 25d -0.6% -19.7% 11.9% -2.5% -1.3% Skew 10d 6.2% -24.7% 47.8% 5.3% 1.9% Call IV 25d 37.5% 25.9% 51.9% 37.8% 36.4% Put IV 25d 36.9% 32.2% 41.8% 35.2% 35.1% Bid-Ask Spread % 33.49 15.57 53.35 44.77 44.85 Gamma HHI 0.40 0.31 0.53 0.53 0.38 Net GEX 55.9K -47.9K 149.3K 141.6K -5.4K Net DEX -6.2M -16.5M 1.5M -5.8M -6.5M Net VEX -76.0K -82.0K -68.6K -76.9K -69.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 0.00 5.65 0.13 2.79 Total Volume 2,508 624 8,736 6,160 728 Total OI 108,771.579 79,428 122,880 109,696 81,736
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-09-04 $6.75 $6.25 36.6% 10.5% 30.8% 0.0% 36.6% -2.5% 0.9% 141.6K -5.8M -76.9K 0.13 44.77 N/A N/A 5,464 696 57,316 52,380 2007-09-05 $6.62 $6.25 37.5% 10.8% 30.4% 0.0% 43.5% -2.1% -1.0% 149.3K -4.7M -79.5K 2.04 51.22 N/A N/A 500 1,020 60,060 52,588 2007-09-06 $6.57 $6.25 35.7% 10.2% 30.0% 0.0% 36.1% -4.2% 0.7% 112.0K -3.4M -78.4K 1.83 20.20 N/A N/A 624 1,140 60,108 53,360 2007-09-07 $6.51 $6.25 37.0% 11.1% 29.6% 0.0% 38.5% 11.9% 0.6% 91.7K -2.5M -79.0K 5.65 29.98 N/A N/A 652 3,684 60,648 54,444 2007-09-10 $6.41 $6.25 35.7% 11.1% 30.2% 0.0% 38.6% -8.0% 1.2% 7.8K -304.0K -79.5K 2.28 20.99 N/A N/A 1,756 3,996 60,936 57,268 2007-09-11 $6.34 $6.25 34.7% 11.0% 30.5% 0.0% 38.5% -9.1% 0.3% -47.9K 1.5M -80.3K 0.23 20.05 N/A N/A 580 136 61,860 59,816 2007-09-12 $6.50 $6.25 37.5% 10.8% 31.1% 0.0% 37.7% 7.5% 1.1% -12.8K -2.3M -82.0K 0.00 26.31 N/A N/A 888 0 62,132 59,020 2007-09-13 $6.53 $6.25 37.7% 10.8% 28.2% 0.0% 36.8% 5.9% 1.5% -3.8K -3.4M -79.8K 1.62 28.90 N/A N/A 420 680 62,356 58,820 2007-09-14 $6.53 $6.25 37.7% 10.8% 28.0% 0.0% 37.9% -19.7% 0.9% 3.8K -4.0M -78.0K 1.99 15.57 N/A N/A 876 1,744 62,204 58,180 2007-09-17 $6.54 $6.25 36.2% 10.4% 26.0% 0.0% 36.3% 2.7% 2.7% -12.2K -3.9M -78.1K 3.46 33.42 N/A N/A 312 1,080 62,672 59,832 2007-09-18 $6.75 $6.25 38.7% 11.1% 28.0% 0.0% 36.3% 6.1% 2.1% 75.7K -6.8M -78.5K 0.52 50.41 N/A N/A 2,092 1,092 62,728 59,192 2007-09-19 $6.86 $6.25 39.9% 11.4% 27.4% 0.0% 36.8% 1.8% -4.4% 26.5K -12.5M -70.0K 0.10 36.47 N/A N/A 7,908 828 63,352 54,408 2007-09-20 $6.87 $6.25 32.2% 9.2% 21.7% 0.0% 32.7% 0.3% 4.8% 131.5K -15.3M -75.0K 0.08 53.35 N/A N/A 1,064 84 68,604 54,276 2007-09-21 $6.94 $6.25 32.9% 9.4% 21.9% 0.0% 33.2% 0.4% 0.5% 138.8K -16.5M -72.8K 0.08 18.35 N/A N/A 1,268 104 68,560 54,272 2007-09-24 $6.83 $6.25 28.8% 8.3% 22.6% 0.0% 28.9% -2.1% 3.9% 112.8K -9.7M -68.6K 2.38 40.48 N/A N/A 888 2,112 42,396 37,032 2007-09-25 $6.74 $6.25 23.5% 6.7% 23.0% 0.0% 28.2% -0.3% 13.6% 43.8K -7.4M -74.8K 0.69 44.23 N/A N/A 704 484 42,236 38,480 2007-09-26 $6.75 $6.25 34.8% 10.0% 22.6% 0.0% 31.8% 1.4% -4.4% 71.8K -7.8M -71.1K 1.36 33.16 N/A N/A 604 820 42,752 38,596 2007-09-27 $6.70 $6.25 30.2% 8.7% 21.7% 0.0% 29.5% -0.2% 4.2% 37.8K -6.3M -72.0K 0.00 23.69 N/A N/A 624 0 43,064 38,976 2007-09-28 $6.57 $6.25 32.6% 9.4% 22.7% 0.0% 27.6% -1.3% -8.8% -5.4K -6.5M -69.7K 2.79 44.85 N/A N/A 192 536 42,820 38,916
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